Deep dive into financial models: modeling risk and uncertainty
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific
[2017]
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | xi, 219 Seiten Illustrationen |
| ISBN: | 9789813143715 9789813142107 |
Internformat
MARC
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| 240 | 1 | 0 | |a Mathématiques des marchés financiers |
| 245 | 1 | 0 | |a Deep dive into financial models |b modeling risk and uncertainty |c Mathieu Le Bellac, BRED Bank, France, Arnaud Viricel, Natixis, France |
| 264 | 1 | |a New Jersey |b World Scientific |c [2017] | |
| 300 | |a xi, 219 Seiten |b Illustrationen | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 0 | 7 | |a Finanzierung |0 (DE-588)4017182-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikotheorie |0 (DE-588)4135592-1 |2 gnd |9 rswk-swf |
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| 689 | 0 | 2 | |a Mathematisches Modell |0 (DE-588)4114528-8 |D s |
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| 700 | 1 | |a Viricel, Arnaud |e Verfasser |4 aut | |
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Datensatz im Suchindex
| _version_ | 1804177048194777088 |
|---|---|
| adam_text | Contents
Preface vii
Foreword ix
1 Interest Rates 1
1.1 Present valuation ................................. 1
1.2 Building the interest rates curve ................. 8
1.3 Dynamics of the interest rates curve.............. 14
2 Credit Risk Modeling 21
2.1 Credit spread..................................... 22
2.2 Implied default probabilities..................... 25
2.3 A structural model, the firm value model...........33
2.4 Correlations between defaults..................... 37
3 Portfolio Management Theories 45
3.1 The risk-reward approach.......................... 46
3.2 Markowitz’s theory................................ 50
3.3 The capital asset pricing model .................. 54
3.4 Correlation vs cointegration*..................... 62
4 No-arbitrage Theory 69
4.1 Binomial trees.................................... 70
4.2 The no-arbitrage theorem (discrete case).......... 79
4.3 Completeness...................................... 83
4.4 The continuum case* .............................. 86
V
VI
CONTENTS
5 The Black-Scholes Model 93
5.1 Brownian motion ................................. 94
5.2 Lognormal processes...............................101
5.3 The Black-Scholes model...........................104
5.4 The implied volatility............................112
6 Volatility Models 117
6.1 Valuation with implied volatilities* .............118
6.2 Modeling volatility*..............................125
7 Numerical Methods 141
7.1 Monte-Carlo simulations ..........................142
7.2 Finite Differences Method*........................159
8 Value at Risk (VaR) 169
8.1 General principle.................................170
8.2 VaR construction in practice......................174
8.3 Practical and theoretical VaR limitations.........181
9 Non-Gaussian Models 189
9.1 Submitting Gaussian models to the test ...........190
9.2 Power laws........................................195
9.3 Levy processes....................................201
Conclusion 209
Bibliography 213
Index 217
The sections marked with a ( *) are mathematically more demanding;
they can be skipped at first reading.
|
| any_adam_object | 1 |
| author | Le Bellac, Mathieu Viricel, Arnaud |
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| building | Verbundindex |
| bvnumber | BV044038995 |
| callnumber-first | H - Social Science |
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| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)975362819 (DE-599)BVBBV044038995 |
| dewey-full | 332.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5195 |
| dewey-search | 332.01/5195 |
| dewey-sort | 3332.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV044038995 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:41:53Z |
| institution | BVB |
| isbn | 9789813143715 9789813142107 |
| language | English |
| lccn | 016024939 |
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| physical | xi, 219 Seiten Illustrationen |
| publishDate | 2017 |
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| publisher | World Scientific |
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| spelling | Le Bellac, Mathieu Verfasser (DE-588)1126205958 aut Mathématiques des marchés financiers Deep dive into financial models modeling risk and uncertainty Mathieu Le Bellac, BRED Bank, France, Arnaud Viricel, Natixis, France New Jersey World Scientific [2017] xi, 219 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Mathematisches Modell Finance Mathematical models Finanzierung (DE-588)4017182-6 gnd rswk-swf Risikotheorie (DE-588)4135592-1 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Risikotheorie (DE-588)4135592-1 s Mathematisches Modell (DE-588)4114528-8 s b DE-604 Viricel, Arnaud Verfasser aut Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029446075&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Le Bellac, Mathieu Viricel, Arnaud Deep dive into financial models modeling risk and uncertainty Mathematisches Modell Finance Mathematical models Finanzierung (DE-588)4017182-6 gnd Risikotheorie (DE-588)4135592-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4135592-1 (DE-588)4114528-8 |
| title | Deep dive into financial models modeling risk and uncertainty |
| title_alt | Mathématiques des marchés financiers |
| title_auth | Deep dive into financial models modeling risk and uncertainty |
| title_exact_search | Deep dive into financial models modeling risk and uncertainty |
| title_full | Deep dive into financial models modeling risk and uncertainty Mathieu Le Bellac, BRED Bank, France, Arnaud Viricel, Natixis, France |
| title_fullStr | Deep dive into financial models modeling risk and uncertainty Mathieu Le Bellac, BRED Bank, France, Arnaud Viricel, Natixis, France |
| title_full_unstemmed | Deep dive into financial models modeling risk and uncertainty Mathieu Le Bellac, BRED Bank, France, Arnaud Viricel, Natixis, France |
| title_short | Deep dive into financial models |
| title_sort | deep dive into financial models modeling risk and uncertainty |
| title_sub | modeling risk and uncertainty |
| topic | Mathematisches Modell Finance Mathematical models Finanzierung (DE-588)4017182-6 gnd Risikotheorie (DE-588)4135592-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Mathematisches Modell Finance Mathematical models Finanzierung Risikotheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029446075&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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